Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0172
Annualized Std Dev 0.3043
Annualized Sharpe (Rf=0%) 0.0566

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1825
Quartile 1 -0.0071
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0079
Maximum 0.1640
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0008
Variance 0.0004
Stdev 0.0192
Skewness 0.1511
Kurtosis 14.7133

Downside Risk

Close
Semi Deviation 0.0135
Gain Deviation 0.0152
Loss Deviation 0.0150
Downside Deviation (MAR=210%) 0.0178
Downside Deviation (Rf=0%) 0.0133
Downside Deviation (0%) 0.0133
Maximum Drawdown 0.8375
Historical VaR (95%) -0.0266
Historical ES (95%) -0.0451
Modified VaR (95%) -0.0248
Modified ES (95%) -0.0248
From Trough To Depth Length To Trough Recovery
2007-06-04 2009-03-06 NA -0.8375 3475 444 NA
2001-01-04 2002-10-09 2004-03-05 -0.3845 794 441 353
1999-05-14 2000-02-25 2000-08-04 -0.2721 311 199 112
2000-09-12 2000-10-12 2000-12-27 -0.1433 75 23 52
1999-01-11 1999-02-09 1999-03-05 -0.1078 38 21 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.7 0.4 0.3 -1.4 -1.4 1.1 -2.2 0.5 -1.7 -1.2 -0.8 0.1 -8
2000 0.5 1.4 0.6 -2.2 3.3 -2.4 0.1 -1.6 -0.3 -0.4 -0.6 -1.2 -3
2001 0.1 0.1 1.8 0.8 -0.2 -0.7 0.4 0.3 -0.3 1.6 -1 -0.9 2.1
2002 -1.2 1.4 -0.2 0.7 0 -2.1 -2.5 0.2 4.3 1.4 -0.8 -0.4 0.6
2003 2 0.5 2.6 0 2 1.2 -2 0.5 2.5 0.3 1.1 -0.2 10.9
2004 0.1 0.7 1.1 0 -0.4 -0.7 -0.1 -0.4 1.7 0.3 2 0 4.2
2005 1.1 1 -1.4 1.5 0.8 0.1 0 0.2 -0.2 -0.4 0.5 -0.5 2.7
2006 -0.1 0.5 0 -1.6 1.2 -0.3 -0.3 0.1 -0.3 -0.6 -0.6 -0.6 -2.4
2007 0.6 -0.1 0.3 0.2 0.3 -0.5 1.1 1.3 1.9 -5.1 2.5 0 2.2
2008 1.9 -3.3 7 3.4 -1.3 0.3 0 0.1 3.9 4.9 -16.7 3.2 1.4
2009 -2.7 -6.5 2.8 -0.7 1.1 -0.6 1 -5.4 -4.4 -4.7 0.1 -0.2 -18.9
2010 1.7 0.3 0.8 -2.4 -2.1 -0.9 -0.1 3.9 1.1 0 2 0.1 4.3
2011 2.1 -2.1 0.9 -0.2 -3.4 1.8 -0.3 -2.2 -3.5 -4.7 -0.5 -0.5 -12.3
2012 1.6 1.1 0.5 1 -3.7 2.6 -0.5 0.7 0.4 1.2 -0.1 1.3 6.3
2013 1.3 0.3 -0.5 -1.1 -1.6 0.3 1.6 -0.5 0.7 0.3 -0.4 0.5 0.9
2014 -1.2 0.5 0.2 0.2 0.2 0.6 -0.8 0.5 -1.2 1.1 -0.7 -1.1 -1.8
2015 -1.6 -0.4 -0.1 0.9 0.1 1.5 -0.3 -3.2 0 -1.4 1.1 -1 -4.5
2016 -0.4 3.4 0.9 -0.6 0.2 -0.5 -0.3 -0.4 1.4 -0.4 1.7 0.2 5.3
2017 0.1 2.9 -0.8 0.6 1.2 -0.1 0.7 0.3 0.5 0.2 0.2 -0.7 5.1
2018 0.9 -1.7 1.4 0 1.1 0 0 -0.1 0.4 0.5 0.5 1 4
2019 0.4 0.6 2.5 -0.8 -1.5 1.2 -2.3 0.3 -2.1 1.5 -0.2 0.3 -0.2
2020 -2.1 -2.7 -6.1 -3.2 1.2 -0.9 0 0.3 0.2 0.3 1.5 1.2 -10
2021 1.3 3.1 -1.2 NA NA NA NA NA NA NA NA NA 3.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  23.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  23.7 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  24.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  24.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  24.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  24.6 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart